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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Testing for uncorrelated residuals in dynamic count models with an application to corporate bankruptcy
Sant'Anna, Pedro H. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 349-358
Persistent link: https://www.econbiz.de/10011705946
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Dynamic modeling of credit portfolio risk with time-discrete Hzard rates
Hamerle, Alfred - 2002
Persistent link: https://www.econbiz.de/10013408266
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Constant Maturity Treasury Convexity Correction
Pucci, Mario - 2019
In a Constant Maturity Treasury swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a … reference bond curve. This paper introduces a theoretical framework for the modelling of constant maturity treasury that takes … convexity corrections for some fundamental payoffs contingent on the constant maturity treasury …
Persistent link: https://www.econbiz.de/10012870598
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Macroeconomic impact on expected default frequency
Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008
We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...
Persistent link: https://www.econbiz.de/10003618542
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Estimating deliquency migration and the probability of default from aggregate data
Stokes, Jeffrey R.; Gloy, Brent A. - In: Agricultural finance review 67 (2007) 1, pp. 75-85
Persistent link: https://www.econbiz.de/10003495735
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of...
Persistent link: https://www.econbiz.de/10011374412
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Default dependence among corporate bond issuers : empirical evidence from time series data
Puzanova, Natalia; Siddiqui, Sikandar - In: Applied financial economics letters 1 (2005) 5, pp. 297-302
Persistent link: https://www.econbiz.de/10003118557
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Pro-cyclicality, empirical credit cycles, and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
Persistent link: https://www.econbiz.de/10001718549